Stability advances in robust portfolio optimization under parallelepiped uncertainty

Optimization of conditional value-at-risk

R. T. Rockafellar, Stan Uryasev · The Journal of Risk · 2000 · 6.5K citations

Business, Finance, Risk Management +17

PORTFOLIO SELECTION*

Harry M. Markowitz · The Journal of Finance · 1952 · 5.3K citations

The Price of Robustness

Dimitris Bertsimas, Melvyn Sim · Operations Research · 2004 · 4.4K citations

Natural Sciences, Mathematics, Optimization +15

Robust Convex Optimization

Aharon Ben‐Tal, Arkadi Nemirovski · Mathematics of Operations Research · 1998 · 2.6K citations

Natural Sciences, Computer Science, Mathematics +14

Global Portfolio Optimization

Fischer Black, Robert B. Litterman · Financial Analysts Journal · 1992 · 1.8K citations

Business, Economics, Finance +12